Related papers: Assessing symmetry of financial returns series
Recently Liu and Wang derived the likelihood ratio test (LRT) statistic and its asymptotic distribution for testing equality of two multinomial distributions vs. the alternative that the second distribution is larger in terms of increasing…
This paper concerns a method of testing equality of distribution of random convex compact sets and the way how to use the test to distinguish between two realisations of general random sets. The family of metrics on the space of…
In quantitative finance, it is often necessary to analyze the distribution of the sum of specific functions of observed values at discrete points of an underlying process. Examples include the probability density function, the hedging…
In this paper, in order to test whether changes have occurred in a nonlinear parametric regression, we propose a nonparametric method based on the empirical likelihood. Firstly, we test the null hypothesis of no-change against the…
A new portmanteau test statistic is proposed for detecting nonlinearity in time series data. In this paper, we elaborate on the Toeplitz autocorrelation matrix to the autocorrelation and cross-correlation of residuals and squared residuals…
The stochastic block model is a popular tool for detecting community structures in network data. Detecting the difference between two community structures is an important issue for stochastic block models. However, the two-sample test has…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
Distribution testing is a fundamental statistical task with many applications, but we are interested in a variety of problems where systematic mislabelings of the sample prevent us from applying the existing theory. To apply distribution…
In time series analysis, statistics based on collections of estimators computed from sub-samples play a crucial role in an increasing variety of important applications. Proving results about the joint asymptotic distribution of such…
Testing cross-sectional independence in panel data models is of fundamental importance in econometric analysis with high-dimensional panels. Recently, econometricians began to turn their attention to the problem in the presence of serial…
This paper is devoted to the study of the general linear hypothesis testing (GLHT) problem of multi-sample high-dimensional mean vectors. For the GLHT problem, we introduce a test statistic based on $L^2$-norm and random integration method,…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
Ordinary differential equations have been used to model dynamical systems in a broad range. Model checking for parametric ordinary differential equations is a necessary step to check whether the assumed models are plausible. In this paper…
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors. Although conceptually related, our three analyses reveal distinct…
Consider two random variables contaminated by two unknown transformations. The aim of this paper is to test the equality of those transformations. Two cases are distinguished: first, the two random variables have known distributions.…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained…
Distinguishing between uniform and non-uniform sample distributions is a common problem in directional data analysis; however for many tests, non-uniform distributions exist that fail uniformity rejection. By merging directional statistics…
We consider the problem of goodness-of-fit testing for a model that has at least one unknown parameter that cannot be eliminated by transformation. Examples of such problems can be as simple as testing whether a sample consists of…
We describe a simple and accurate framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the formalism of Tsallis' generalized non-extensive thermostatistics.…